Title :
Estimation of noisy telegraph processes: Nonlinear filtering versus nonlinear smoothing (Corresp.)
fDate :
5/1/1985 12:00:00 AM
Abstract :
In the estimation problem of a two-state stationary Markov process with Gaussian white noise added, the optimal smoother is a two-filter smoother. In a special case, the performance of the optimal nonlinear filter and smoother is evaluated analytically. Some asymptotic results are also derived.
Keywords :
Markov processes; Smoothing methods; State estimation; Differential equations; Filtering; Markov processes; Nonlinear filters; Performance analysis; Smoothing methods; State estimation; Stochastic processes; Telegraphy; White noise;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.1985.1057032
